On the integro-differential equation arising in the ruin problem for annuity payment models

Published 4 Jan 2026 in math.PR | (2601.01447v1)

Abstract: We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power function for large initial capital.

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Authors (1)

Platon Promyslov

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